SSH to the ESXi host as root and navigate to /vmfs/volumes/<data store guid or name>. Locate the VM folder although from your pic, it seems that the vmx files are under the root of the datastore itself.

Do an ls -l to verify that the files do indeed exist and to check what permissions are currently assigned. If they do exist, change the permissions using something like chmod 755 vmxfile and then try removing then using rm vmxfile.